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  • Search: subject:"Envelope condition"
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Year of publication
Subject
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Envelope condition 8 Curse of dimensionality 5 Dynamic programming 5 Endogenous grid 5 Large scale 5 Mathematical programming 5 Mathematische Optimierung 5 Value function iteration 5 Bellman equation 4 Dynamische Optimierung 4 Stochastic process 4 Stochastischer Prozess 4 Aiyagari model 3 Dynamic model 3 Dynamische Wirtschaftstheorie 3 Economic dynamics 3 Euler equation 3 Numerical dynamic programming 3 dynamic programming 3 endogenous grid method 3 envelope condition method 3 numerical integration 3 precomputation 3 value function iteration 3 Theorie 2 Theory 2 Variational method 2 Variationsrechnung 2 DSGE model 1 DSGE-Modell 1 Default risk 1 Discounting 1 Diskontierung 1 Dynamic game 1 Dynamisches Spiel 1 Endogenous gridpoints 1 Equilibrium theory 1 Factor price equalization 1 Factor price insensitivity 1 Game theory 1
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Online availability
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Undetermined 6 Free 4
Type of publication
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Article 9 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Article 1
Language
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English 7 Undetermined 4
Author
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Maliar, Lilia 9 Maliar, Serguei 9 Judd, Kenneth L. 3 Tsener, Inna 3 Arellano, Cristina 1 Chakrabarti, Avik 1 Tsyrennikov, Viktor 1 White, Neil 1
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Institution
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Department of Economics, Brigham Young University 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1
Published in...
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Economics letters 2 Quantitative economics : QE ; journal of the Econometric Society 2 BYU Macroeconomics and Computational Laboratory Working Paper Series 1 Dynamic games and applications : DGA 1 Economic Theory 1 Economics Letters 1 Handbook of computational economics : volume 3 1 Quantitative Economics 1 Working Papers. Serie AD 1
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Source
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ECONIS (ZBW) 6 RePEc 4 EconStor 1
Showing 1 - 10 of 11
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An envelope method for solving continuous-time stochastic models with occasionally binding constraints
White, Neil - In: Economics letters 214 (2022), pp. 1-4
Persistent link: https://www.econbiz.de/10013448141
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How to solve dynamic stochastic models computing expectations just once
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 851-893
We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...
Persistent link: https://www.econbiz.de/10011801654
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How to solve dynamic stochastic models computing expectations just once
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative Economics 8 (2017) 3, pp. 851-893
We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...
Persistent link: https://www.econbiz.de/10011995505
Saved in:
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Envelope Condition Method with an Application to Default Risk Models
Arellano, Cristina; Maliar, Lilia; Maliar, Serguei; … - Department of Economics, Brigham Young University - 2014
We develop an envelope condition method (ECM) for dynamic programming problems –a tractable alternative to expensive … iteration on Bellman equation with relatively cheap forward iteration on an envelope condition. Second, to increase the accuracy …
Persistent link: https://www.econbiz.de/10011273937
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Envelope condition method versus endogenous grid method for solving dynamic programming problems
Maliar, Lilia; Maliar, Serguei - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2013
We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to …
Persistent link: https://www.econbiz.de/10010698652
Saved in:
Cover Image
How to solve dynamic stochastic models computing expectations just once
Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 851-893
Persistent link: https://www.econbiz.de/10011804961
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Ruling out multiplicity of smooth equilibria in dynamic games : a hyperbolic discounting example
Maliar, Lilia; Maliar, Serguei - In: Dynamic games and applications : DGA 6 (2016) 2, pp. 243-261
Persistent link: https://www.econbiz.de/10011717792
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Chapter 7. Numerical Methods for Large-Scale Dynamic Economic Models
Maliar, Lilia; Maliar, Serguei - In: Handbook of computational economics : volume 3, (pp. 325-477). 2014
formulas, derivative-free solvers, and numerically stable regression methods. Second, we discuss endogenous grid and envelope … condition methods that reduce the cost and increase accuracy of value function iteration. Third, we show precomputation …
Persistent link: https://www.econbiz.de/10014025715
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Envelope condition method versus endogenous grid method for solving dynamic programming problems
Maliar, Lilia; Maliar, Serguei - In: Economics letters 120 (2013) 2, pp. 262-266
Persistent link: https://www.econbiz.de/10010128297
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Envelope condition method versus endogenous grid method for solving dynamic programming problems
Maliar, Lilia; Maliar, Serguei - In: Economics Letters 120 (2013) 2, pp. 262-266
We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to …
Persistent link: https://www.econbiz.de/10010678837
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